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Start Over Descriptor "G20" Journal review of quantitative finance and accounting
44 results on '"G20"'

15. Dangerous liasons and hot customers for banks

Author

Roy Cerqueti, Francesca Pampurini, Annagiulia Pezzola, and Anna Grazia Quaranta

Subjects
Settore SECS-P/11 - ECONOMIA DEGLI INTERMEDIARI FINANZIARI, Contagion, Accounting, Financial network models, Systemic risk, Credit risk, C02, G20, G21, General Business, Management and Accounting, Finance, Original Research
Abstract

Understanding the correlation between different customers’ loss of creditworthiness is crucial to credit risk analysis. This paper describes a novel method, based on a weighted network model, in which a set of firms, customers of the same bank, represent the nodes while their links and weights derive from the total transaction amounts. We explore the contagion mechanism deriving from the transmission of the difficulties of one customer to other clients of the same bank so highlighting areas where contagion risk is higher. We use a real proprietary data set provided by a bank to illustrate the proposed approach.

Published
2022

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